HSBC plans contingent income autocallables linked to iShares MSCI EM

By Angela McDaniels

Tacoma, Wash., March 27 - HSBC USA Inc. plans to price contingent income autocallable securities due April 4, 2013 linked to the iShares MSCI Emerging Markets index fund, according to an FWP filing with the Securities and Exchange Commission.

If the exchange-traded fund's shares close at or above the downside threshold level, 75% of the initial share price, on a quarterly determination date, investors will receive a contingent payment of $0.18 to $0.23 for each $10.00 note. Otherwise, no contingent payment will be made that quarter. The exact contingent payment will be set at pricing.

If the closing share price is greater than or equal to the initial share price on any of the first three quarterly determination dates, the notes will be automatically redeemed at par plus the contingent payment.

If the notes are not called and the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the contingent payment. If the final share price is less than the downside threshold level, investors will be fully exposed to the decline from the initial share price.

The notes (Cusip: 40433K231) will price March 30 and settle April 4.

HSBC Securities (USA) Inc. is the agent. Distribution is through Morgan Stanley Smith Barney LLC.

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